We establish some error estimates for the binomial approximation of American put prices in the Black-Scholes model. Namely, we prove that if P is the American put ...
https://doi.org/10.4169/amer.math.monthly.121.04.344 https://www.jstor.org/stable/10.4169/amer.math.monthly.121.04.344 Abstract We derive asymptotic formulas for ...
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